LongTermTrend_V0415

REJECTEDhybrid

llmAdded regime gates to avoid downtrends, extreme bubbles, and high volatility; relaxed entry ret_20d threshold to 3% and strengthened alignment by requiring price > SMA50 and RSI>45; tightened cumulative annual return floor to -50%; replaced single exit with multi-condition exit (weaker 20d return OR short-term weakness OR large drawdown); reduced base position to 0.7 and added volatility-based sizing (full size in low vol, smaller size in high vol) to reduce drawdown and improve risk-adjusted returns. | rejected: stage1: sharpe -0.50 below screen

Fitness

—

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

LongTermTrend_V0278S0278 · gen 13ARCHIVEDllm

changed cumret_252d threshold -0.1997 -> -0.6

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0415  [hybrid]
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.03 and cumret_252d > -0.5 and (close > sma_50 and rsi_14 > 45.0)):
    position = 0.7
if long and (ret_20d < 0.025 or ret_5d < -0.03 or drawdown < -0.12):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
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Sharpe	—	—	—	—
Sortino	—	—	—	—
Calmar	—	—	—	—
Volatility	—	—	—	—
Max DD	—	—	—	—
Win Rate	—	—	—	—
Avg Win	—	—	—	—
Avg Loss	—	—	—	—
Payoff	—	—	—	—
Expectancy	—	—	—	—
Profit Factor	—	—	—	—
Trades	—	—	—	—
Avg Holding Days	—	—	—	—
Turnover	—	—	—	—
Exposure	—	—	—	—

Walk-Forward Years

year-by-year stability matters more than any single year

Year	CAGR	Sharpe	Max DD	Trades
No walk-forward results

A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.

Regime Performance

Period	Regime	Days	Ann. Return	Sharpe	Exposure
No regime results

Trades (full period)

0 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
No trades recorded